The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia

• Main Authors: Saizal Pinjaman, Sarma Aralas
• Format: Conference or Workshop Item
• Language: English; English
• Published: 2018
• Subjects: HB1-3840 Economic theory. Demography
• Online Access: https://eprints.ums.edu.my/id/eprint/33864/1/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia.pdf; https://eprints.ums.edu.my/id/eprint/33864/2/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia%20_ABSTRACT.pdf; https://eprints.ums.edu.my/id/eprint/33864/; https://www.researchgate.net/profile/Saizal-Pinjaman/publication/335791661_THE_EFFECTS_OF_CAPITAL_ACCOUNT_LIBERALIZATION_AND_MACROECONOMIC_FACTORS_ON_FIRM-LEVEL_STOCK_RETURNS_VOLATILTY_IN_MALAYSIA/links/5d7b8b7992851c87c37b567b/THE-EFFECTS-OF-CAPITAL-ACCOUNT-LIBERALIZATION-AND-MACROECONOMIC-FACTORS-ON-FIRM-LEVEL-STOCK-RETURNS-VOLATILTY-IN-MALAYSIA.pdf

There are a number of research that have analysed the impact of financial liberalisation and macroeconomic factors on stock returns volatility. However, the results have been somewhat mixed. In the case of Malaysia, the current research estimates volatility using an EGARCH model where risk factors o...